ICR Comparisons
ICR Type Example Liability Risk Hedging Strategy
FIXED 4% Similar to traditional plan (rate and spread risk) Long-duration fixed income
MARKET YIELD WITH FLOOR OR CAP 10-year Treasury with minimum of 4% Varies depending upon above or below floor/cap Dynamic solution utilizing derivative overlay
MARKET YIELD WITH NO FLOOR OR CAP 30-year Treasury Liability has spread risk but minimal interest rate risk Long-duration investment grade credit with derivative overlay

The ability of an actual portfolio to deliver the required cash flows is not guaranteed and is subject to a variety of factors including, but not limited to, the availability of bonds, active management and trading, transaction costs, default risk, reinvestment risk, rebalancing risk and liquidity risk.

Commodity, interest and derivative trading involves substantial risk of loss.

Any investment that has the possibility for profits also has the possibility of losses.

This is for informational purposes only and should not be construed as investment advice. Investment decisions should consider the individual circumstances of the particular investor. Any opinions or forecasts contained herein reflect subjective judgments and assumptions of the author and do not necessarily reflect the views of Loomis, Sayles & Company, L. P. Investment recommendations may be inconsistent with these opinions. There can be no assurance that developments will transpire as forecasted. Examples and analysis are provided for illustrative purposes only and do not represent actual accounts. Accuracy of data is not guaranteed but represents our best judgment and can be derived from a variety of sources. Opinions are subject to change at any time without notice.